How to set a wallpaper on the iPad or iPad 2:

Tap and hold the wallpaper you want to use until a pop-up menu appears, choose Save Image and it will automatically save to your "Photos" app. Go back to the initial (main) app screen of your iPad and choose "Photos" icon.

Choose the wallpaper image you just saved, then tap the button (a square with an arrow in it - top right button on iPad) and select Use As Wallpaper.

Then tap the button Set Wallpaper (on the iPad you can set the wallpaper for lock screen, home screen or both).